Barr, David G.; Pesaran, Bahram - In: The Review of Economics and Statistics 79 (2000) 3, pp. 362-366
We use a vector autoregression (VAR) to decompose unanticipated bond returns into news about fundamentals (expected real interest and inflation rates) and expected risk premiums. This decomposition is applied to U.K. short- and long-maturity nominal bonds, and to U.K. index-linked bonds. We also...